I didn't have an epidural with DS, I had gas and air, but that was more because I didn't fancy morphine/pethedine because I hate feeling drugged and I was scared of the epidural because I hate needles! So my "natural" delivery was down to stubbornness and cowardice rather than any strong principles about biting on a stick and working through it!
My advice though is to do what's right for you and decide on the day. Plans are all well and good but don't be so rigid in your plans that you close of other alternatives, keep an open mind and take it as it comes.
The advantages of not having an epidural were that I could move around, I was able to take a shower and sort myself out straight after, and I was able to change positions. The disadvantages were that I felt everything, it was a long labour and he was back-to-back so I was exhausted (literally passing out between contractions by the end of it) because I wasn't relaxed or numb enough to sleep for any of it, and it was hard for DH too to see me hurting.
It sometimes helps to think of pain relief as a ladder and each type is a rung. So on the bottom rungs you have mild forms such as warm water, a TENS machine, massage, and gas and air. Next step up and you have morphine/pethedine, and next up from that you have an epidural. That's how my MW explained it to me, I know it seems a bit daft but it helped me to figure it all out. She said on the day to start on the lowest rung and if that wasn't working to go up a step, and up a step, and up a step, and so on until I found a method that worked.
Epidurals these days are great, they can reduce them as you near the pushing bit enough for you to feel the urge (and even if you can't then the midwife can tell you when) and they have things like walking epidurals where you have enough pain relief to feel comfortable but you keep a measure of sensation which means you can move around and change position rather than being entirely numbed. At the end of the day there are no medals for bravery in the delivery room, do what's best for you.
It might also help to see your MW as she'll be able to tell you about all the different methods.